I'm a complete newbie to Desktop Dungeons, so forgive me if the answer to this is obvious.

I have just reached the point where I could choose between the Den, the Cave, and Hobbler's Hold.

I chose to try Hobbler's Hold, and the sidebar said that the boss was Lord Gobb, a Goblin, and underneath it said (goblin bone).

This was the monster trophy, yes? Like the goat horns from the previous dungeons?

Well, I managed to kill Lord Gobb, which was satisfying, given his protracted speech about how he would lie in the blood of my wet corpse or something along those lines, but when he died, there was nothing but an exit. There was no goblin bone to take back to the kingdom and wave about in smug fashion. My celebration was somewhat lacking.

What gives? Where is my goblin bone? Are the monster trophies in the dungeons also random, meaning there is only the mere possibility that they may drop from the boss? They don't always?

Hobbler's Hold is the easiest dungeon in the game, it's designed to give you a place to try out new things and get your confidence up. Because it's so easy (and a good source for items) it doesn't give trophies, so Lord Gobb won't drop a bone there, although he will if encountered anywhere else.